I planted a small assortment of pepper plants a month ago, and I have a couple of small jalapeño and anaheim peppers hanging off of their respective plants. I'm wondering if I should go ahead and pick these early peppers before they mature, so that the plants are encouraged to do more vegetative growth, or if I should just let them sit on the plants and ripen and pick them later. Will it even make a difference to the plants whether I pick them or not?
I let them ripen (I've already had quite a crop already from my banana peppers and anaheims - probably my best pre-summer crop ever).
It is true that leaving peppers on the plant might slow further fruit development - so it is often a good idea to start picking the largest fruit when you have a lot forming on the plant. I haven't heard of (or observed) fruit slowing plant growth. It is possible, but I don't think it can be significant.
I usually pick them when they are large and ripe to the point I want them, or if they are in danger of damage. Risk of damage might be due to sun scorching, frost (in early December for me), or the beginnings of grub damage. For the latter it is best to remove the pepper from the plant to be discarded or eaten (chopping the damaged end off can result in an edible pepper - depends on the amount of damage and size of pepper).
This year, for the first time, I've had anaheims growing into the ground. This is because the fruit have grown well, and the plants are still relatively small (i.e. similar to your description). In this case, I've picked them quite young because I've found the buried tips start to rot quite quickly (probably due to damp conditions). I've left a couple of peppers that are safely further up the plant, hoping they'll grow/ripen further.